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Consistency: General Considerations 39 3.

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Consistency of Extremum Estimators 44 3. Asymptotic Normality of Extremum Estimators 48 3. Distributions of Specific Estimators 53 3.


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Inference for Sequential Estimators 86 4. Inference with Unequal-Length Samples 88 4. Affine Processes: Overview 5. Continuous-Time Affine Processes 5.


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  5. Kenneth Singleton.
  6. Discrete-Time Affine Processes 5. Transforms for Affine Processes 5. ML Estimation of Affine Processes 5. Introduction 6. Consistency of the SME 6.

    Asymptotic Normality of the SME 6. Extensions of the SME 6.

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    Moment Selection with SME 6. Preliminary Observations about Shape 7. Discrete-Time Models 7.


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    Estimation of Discrete-Time Models 7. Continuous-Time Models 7. Estimation of Continuous-Time Models 7. Volatility Scaling 7. Pricing Kernels 8. Market Microstructure Effects 9. Tests for Serial Correlation in Returns 9. Evidence on Stock-Return Predictability 9. Assessing Goodness-of-Fit Time-Separable Single-Good Models Models with Durable Goods Habit Formation Inspection copies are only available to verified university faculty. Some restrictions apply. To request an electronic inspection copy for course use consideration, please visit one of the following services to submit your digital examination request online:.

    Home Empirical Dynamic Asset Pricing. Add to Cart. More about this book. Chapter 3 [PDF]. Chapter 1 [PDF]. Ken Singleton gives us the ultimate treatise of empirical asset pricing. The book contains sixteen chapters and really does provide for much more than an overview of those three broad topics mentioned above. Professor Singleton intertwines these two dimensions with remarkable skill to provide a critical review of the field.

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    Dynamic Asset Pricing Theory, Third Edition

    The first two chapters provide the most in-depth English-language discussion of the BOJ's operating procedures and policymaker's views about how BOJ actions affect the Japanese business cycle. Chapter three explores the impact of the BOJ's distinctive window guidance policy on corporate investment, while chapter four looks at how monetary policy affects the term structure of interest rates in Japan. The final two chapters examine the overall effect of monetary policy on real aggregate economic activity.

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    Kenneth J. Singleton

    Foundations of Cost Control. Daniel Traster. This is the eBook of the printed book and may not include any media, website access codes, or print supplements that may come packaged with the bound book. A Guide to Modern Econometrics: Edition 5. Marno Verbeek. A Guide to Modern Econometrics, Fifth Edition has become established as a highly successful textbook.

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    Credit Risk: Pricing, Measurement, and Management.